USMF vs. FXF
USMF (WisdomTree US Multifactor Fund) and FXF (Invesco CurrencyShares® Swiss Franc Trust) are both exchange-traded funds - USMF is a Mid Cap Blend Equities fund tracking the WisdomTree US Multifactor Index, while FXF is a Currency fund tracking the Swiss Franc. Both are passively managed. Over the past 5 years, USMF returned 8.31%/yr vs 2.14%/yr for FXF. At a 0.10 correlation, their price movements are largely independent. USMF charges 0.28%/yr vs 0.40%/yr for FXF.
Performance
USMF vs. FXF - Performance Comparison
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Returns By Period
In the year-to-date period, USMF achieves a 6.65% return, which is significantly higher than FXF's -0.56% return.
USMF
- 1D
- 1.25%
- 1M
- 5.30%
- YTD
- 6.65%
- 6M
- 6.40%
- 1Y
- 9.68%
- 3Y*
- 13.99%
- 5Y*
- 8.31%
- 10Y*
- —
FXF
- 1D
- 0.23%
- 1M
- -1.07%
- YTD
- -0.56%
- 6M
- -0.05%
- 1Y
- 1.46%
- 3Y*
- 3.71%
- 5Y*
- 2.14%
- 10Y*
- 1.05%
USMF vs. FXF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
USMF WisdomTree US Multifactor Fund | 6.65% | 4.60% | 19.65% | 13.47% | -8.82% | 21.26% | 12.01% | 24.06% | -4.72% | 11.27% |
FXF Invesco CurrencyShares® Swiss Franc Trust | -0.56% | 14.04% | -7.46% | 9.63% | -2.29% | -4.08% | 8.18% | 0.32% | -2.01% | -1.37% |
Correlation
The correlation between USMF and FXF is 0.26, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.26 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Aug 24, 2017 | 0.10 |
The correlation between USMF and FXF shifts across timeframes, from 0.10 (all time) to 0.26 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
USMF vs. FXF — Risk / Return Rank
USMF
FXF
USMF vs. FXF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree US Multifactor Fund (USMF) and Invesco CurrencyShares® Swiss Franc Trust (FXF). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| USMF | FXF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.66 | ||
| Sortino ratioReturn per unit of downside risk | +0.94 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 1.04 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 1.50 | 0.30 | +1.21 |
| Martin ratioReturn relative to average drawdown | 4.47 | 0.64 | +3.83 |
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Drawdowns
USMF vs. FXF - Drawdown Comparison
The maximum USMF drawdown since its inception was -36.24%, roughly equal to the maximum FXF drawdown of -35.58%. Use the drawdown chart below to compare losses from any high point for USMF and FXF.
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Drawdown Indicators
| USMF | FXF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.24% | -35.58% | -0.66% |
Max Drawdown (1Y)Largest decline over 1 year | -6.47% | -4.97% | -1.50% |
Max Drawdown (3Y)Largest decline over 3 years | -15.39% | -8.52% | -6.87% |
Max Drawdown (5Y)Largest decline over 5 years | -18.10% | -11.99% | -6.11% |
Max Drawdown (10Y)Largest decline over 10 years | — | -15.04% | — |
Current DrawdownCurrent decline from peak | 0.00% | -18.83% | +18.83% |
Average DrawdownAverage peak-to-trough decline | -4.15% | -20.83% | +16.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.17% | 2.29% | -0.12% |
Volatility
USMF vs. FXF - Volatility Comparison
WisdomTree US Multifactor Fund (USMF) has a higher volatility of 4.10% compared to Invesco CurrencyShares® Swiss Franc Trust (FXF) at 1.84%. This indicates that USMF's price experiences larger fluctuations and is considered to be riskier than FXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| USMF | FXF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.10% | 1.84% | +2.26% |
Volatility (6M)Calculated over the trailing 6-month period | 8.13% | 5.53% | +2.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.31% | 7.42% | +3.89% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.34% | 8.33% | +6.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.97% | 7.57% | +9.40% |
USMF vs. FXF - Expense Ratio Comparison
USMF has a 0.28% expense ratio, which is lower than FXF's 0.40% expense ratio.
Dividends
USMF vs. FXF - Dividend Comparison
USMF's dividend yield for the trailing twelve months is around 1.29%, while FXF has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FXF Invesco CurrencyShares® Swiss Franc Trust | 0.00% | 0.00% | 0.03% | 0.02% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
USMF WisdomTree US Multifactor Fund | 1.29% | 1.37% | 1.22% | 1.33% | 1.74% | 1.42% | 1.34% | 1.38% | 1.45% | 0.67% |
Frequently Asked Questions
USMF and FXF have a correlation of 0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
USMF has higher volatility (4.10%) compared to FXF (1.84%). In terms of maximum drawdown, USMF dropped -36.24% vs FXF's -35.58%.
On 5-year performance, USMF leads with 8.31% vs 2.14% for FXF. On fees, USMF is cheaper at 0.28% per year. On volatility, FXF has been the lower-risk option at 1.84%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, USMF has performed better with a 8.31% return vs 2.14%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
USMF is cheaper with a 0.28% expense ratio, compared with 0.40% for FXF.
USMF has the higher dividend yield at 1.29%, compared with 0.00% for FXF.
USMF is categorized as Mid Cap Blend Equities, while FXF is Currency. USMF tracks WisdomTree US Multifactor Index, while FXF tracks Swiss Franc. They also come from different issuers: WisdomTree and Invesco. Their fees differ too: 0.28% for USMF and 0.40% for FXF.
USMF currently has the higher Sharpe Ratio (0.86 vs 0.20), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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